Here is quick step by step post on how to build a sample App to embed a Yammer feed on an O365 SharePoint site by leveraging Yammer Connect API.

1. In Visual Studio 2012 create a new project using SharePoint 2013 App template:
   
   
   
2. Open the App.js file an add the following JavaScript snippet:
   
   
   
   Network, FeedType and FeedID are three parameters we need to connect to our Yammer specific feed via Yammer Connect API.
   
3. Open the ClientWebPart.aspx and add the following JavaScript snippet:
   
   
   
4. Next, we need to define the properties for the App Part and add the required querystring parameters to ClientWebPart element:
   
   
   
   You can get the value for the Network and FeedID by going to your Yammer group page and clicking on  Embed This Feed link:
   
   
   
5. After compiling and publishing the project from Visual Studio 2012 you should be able to add the App to your O365 Corporate Catalog and add it to a site collection of your choice and set the properties of App Part to render feed from a specific Yammer Group in your network: